The natural filtration of a stochastic process X records its history:possibly completed and made right-continuous when the usual conditions are required.
FtX=σ(Xs:0≤s≤t),
Ancestors (6)
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- Brownian filtration
- Brownian time reversal on a finite interval
- Cost of trials until the first success
- Discrete-time Markov chain
- Five-state harmonic absorption example
- Integrability of a stopped random-walk increment
- Markov process
- Natural Brownian filtration
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- Peeking ahead in a random sum
- Survival-observation predictable sigma-algebra
- Wald's equation
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